Fabio Fornari

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

17

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2,736

CITATIONS
Rank 15,309

SSRN RANKINGS

Top 15,309

in Total Papers Citations

23

Scholarly Papers (17)

1.

Financial Volatility and Economic Activity

Number of pages: 54 Posted: 07 Nov 2009
Fabio Fornari and Antonio Mele
European Central Bank (ECB) and University of Lugano
Downloads 857 (25,198)
Citation 10

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2.

The Size of the Equity Premium

Number of pages: 43 Posted: 12 Feb 2002
Fabio Fornari
European Central Bank (ECB)
Downloads 369 (74,951)
Citation 1

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Risk premium, factor-garch, asset pricing

3.
Downloads 235 (122,887)
Citation 1

Macroeconomic Determinants of Carry Trade Activity

Number of pages: 42 Posted: 22 Nov 2010
Fabio Fornari and Alessio Anzuini
European Central Bank (ECB) and Bank of Italy
Downloads 175 (162,371)
Citation 1

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Carry Trade, Speculative Activity, Sign Restriction

Macroeconomic Determinants of Carry Trade Activity

Bank of Italy Temi di Discussione (Working Paper) No. 817
Number of pages: 52 Posted: 17 Nov 2011
Alessio Anzuini and Fabio Fornari
Bank of Italy and European Central Bank (ECB)
Downloads 60 (341,504)
Citation 1

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carry trade, speculative activity, sign restriction

4.

The Probability Density Function of Interest Rates Implied in the Price of Options

Bank of Italy Economic Research Paper No. 339
Number of pages: 44 Posted: 04 May 2006
Fabio Fornari and Roberto Violi
European Central Bank (ECB) and Bank of Italy
Downloads 222 (129,472)
Citation 2

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Option Pricing, risk-neutral probability density function, interest rate, risk reversal, monetary policy

5.

Compensation for Volatility Risk in Interest Rate Derivatives

Number of pages: 51 Posted: 27 Jan 2007
Fabio Fornari
European Central Bank (ECB)
Downloads 148 (186,270)
Citation 1

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Volatility risk premium, risk aversion, economic surprises

6.

Continuous Time Garch-Based Modeling and Filtering: Evidence from a Short-Term Rate Process

Number of pages: 47 Posted: 12 Feb 2002
Fabio Fornari and Antonio Mele
European Central Bank (ECB) and University of Lugano
Downloads 136 (199,465)

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Stochastic volatility, Arch filtering, indirect inference

7.

Predicting Recession Probabilities with Financial Variables Over Multiple Horizons

ECB Working Paper No. 1255
Number of pages: 62 Posted: 17 Oct 2010
Fabio Fornari and Wolfgang Lemke
European Central Bank (ECB) and European Central Bank
Downloads 117 (223,989)

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Recessions, forecasting, probit, VAR

8.

Does Business Cycle Risk Account for Systematic Returns from Currency Positioning? The International Perspective

Number of pages: 39 Posted: 05 Jun 2008
Roberto A. De Santis and Fabio Fornari
European Central Bank (ECB) - Directorate General Economics and European Central Bank (ECB)
Downloads 115 (226,870)
Citation 1

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Asset Pricing, Consumption Risk, UIP

9.

Approximating Volatility Diffusions with Cev-Arch Models

Number of pages: 41 Posted: 29 Jan 2004
Fabio Fornari and Antonio Mele
European Central Bank (ECB) and University of Lugano
Downloads 101 (248,635)
Citation 2

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Stochastic volatility, Arch filtering, indirect inference

10.

Assessing the Compensation for Volatility Risk Implicit in Interest Rate Derivatives

ECB Working Paper No. 859
Number of pages: 59 Posted: 01 Feb 2008
Fabio Fornari
European Central Bank (ECB)
Downloads 91 (266,190)
Citation 1

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Volatility risk premium, risk aversion, economic surprises

11.

The Role of Financial Variables in Predicting Economic Activity in the Euro Area

IMF Working Paper No. 09/241
Number of pages: 36 Posted: 10 Nov 2009
International Monetary Fund (IMF), European Central Bank (ECB) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 88 (271,803)

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Asset prices, Business cycles, Cross country analysis, Economic forecasting, Economic growth, Economic models, Euro Area, Financial crisis, Financial sector, Global Financial Crisis 2008-2009, Stock markets

12.

The Role of Financial Variables in Predicting Economic Activity

ECB Working Paper No. 1108
Number of pages: 50 Posted: 25 Nov 2009
International Monetary Fund (IMF), European Central Bank (ECB) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 73 (303,862)

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VAR, Financial Variables, International Linkages, Conditional Forecast

What Does a Financial Shock Do? First International Evidence

ECB Working Paper No. 1522
Number of pages: 42 Posted: 06 Mar 2013
Fabio Fornari and Livio Stracca
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 49 (376,332)
Citation 1

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financial shocks, VAR, identification, stochastic pooling, leverage, credit

What Does a Financial Shock Do? First International Evidence

Economic Policy, Vol. 27, Issue 71, pp. 407-445, 2012
Number of pages: 39 Posted: 03 Jul 2012
Fabio Fornari and Livio Stracca
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 1 (639,328)
Citation 1
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14.

The Rise and Fall of US Dollar Interest Rate Volatility: Evidence from Swaptions

BIS Quarterly Review, September 2005
Number of pages: 12 Posted: 27 May 2012 Last Revised: 29 Sep 2013
Bank for International Settlements (BIS) and European Central Bank (ECB)
Downloads 50 (366,819)
Citation 2

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15.

Stock Market Firm-Level Information and Real Economic Activity

ECB Working Paper No. 1366
Number of pages: 38 Posted: 15 Aug 2011
Filippo di Mauro, Fabio Fornari and Dario Mannucci
European Central Bank (ECB), European Central Bank (ECB) and Prometeia
Downloads 42 (393,739)

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business cycle forecasting, granular shock, international linkages

16.

Macroeconomic Announcements and Implied Volatilities in Swaption Markets

BIS Quarterly Review, September 2004
Number of pages: 8 Posted: 13 May 2012 Last Revised: 29 Sep 2013
Fabio Fornari
European Central Bank (ECB)
Downloads 41 (397,248)
Citation 1

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17.

Macroeconomic Determinants of Carry Trade Activity

Review of International Economics, Vol. 20, Issue 3, pp. 468-488, 2012
Number of pages: 21 Posted: 18 Jul 2012
Fabio Fornari
European Central Bank (ECB)
Downloads 1 (608,508)
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